I have created an econometric vector time series with many variables (all endogenous) and quarterly observations over many years. I am trying to create a VARMA model for the variables. I was successful in allowing SAS to create a model for me using the MINIC option in the MODEL statement. The chosen model was VAR(1). Unfortunately, significant autocorrelation remains at lag 4 (= 1 year). Thus I would like to specify a larger model and decide for myself which terms are significant. The SAC and SPAC of the individual variables suggest the correct model is a subset of VARMA(8,8), or more precisely, VARMA(2,2)(2,2)s. I have used variants of the following: MODEL z1 z2 z3 z4 zstar5 z6 zstar7 z8 z9 z10 z11 / P = (1,2,4,8) Q = (1,2,4,8) METHOD = ML NSEASON = 4 PRINTALL; or MODEL z1 z2 z3 z4 zstar5 z6 zstar7 z8 z9 z10 z11 / P = 4 Q = 4 METHOD = ML NSEASON = 4 PRINTALL; or MODEL z1 z2 z3 z4 zstar5 z6 zstar7 z8 z9 z10 z11 / P = (1,4) Q = (1,4) METHOD = ML NSEASON = 4 PRINTALL; In each case I get the error message: ERROR: Improper initial values for the parameters estimates in the nonlinear optimization. But I didn't initialize anything! I seem to be following the SAS documentation for the PROC VARMAX MODEL statement verbatim, but cannot create a model per my specifications. Any ideas? Thanks for your input!
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